st: RE: Bootstrapped Standard Errors

["Millimet, Daniel" <millimet@mail.smu.edu>]

My understanding is that, in general, there is no issue with applying the bootstrap to data with weights assuming the bootstrap samples are drawn accounting for the weights.  This is necessary so that the bootstrap samples constitute random samples from the population (or are weighted samples with appropriate weights).  So, my sense is, no, you cannot try and manually bootstrap your two-step estimates unless you account for the weights appropriately when forming your bootstrap samples.

That said, you should see the new command -svy bootstrap- in Stata.  I have not used it, but it looks like Stata has added a bootstrap option to handle survey weights.  

****************************************************
Daniel L. Millimet, Professor
Department of Economics
Box 0496
SMU
Dallas, TX 75275-0496
phone: 214.768.3269
fax: 214.768.1821
web: http://faculty.smu.edu/millimet
****************************************************

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Danny Dan
Sent: Wednesday, March 21, 2012 8:42 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: Bootstrapped Standard Errors

Hello All,

I have a question:

I know that bootstrapping cannot be applied with weights, however, is there anyway in STATA that after doing a weighted regression (like regress `depvar' `indepvar' [weight=wt],  or, probit  `depvar'
`indepvar' [weight=wt]) I can use bootstrapping option separately to generate the standard errors?

I am asking this because I need to generate bootstrapped standard errors because of its unknown structure in my model. To be more precise, I am doing a 2-stage estimation and trying to use bootstrapping to generate standard errors in the 2nd stage.

Please let me know if I am not clear with my question then I will try to clarify it further for the ease of comprehensibility.

Please help.

Thank you.

Best,

Dan
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